: This paper analyzes the daily time series of Japanese yen exchange rate against the US dollar by a model of stochastic differential equation whose coefficient oscillates cyclically. The expectation value and the variance of the series are derived by solving the equation. It is shown that their power spectrums are expressed by the power function, w–h, where w is the angular frequency and 1.9 < h < 2.6. It is also revealed that the power spectrum of the expectation value has two breaking points and that of the variance has one breaking point.
Download Info
To our knowledge, this item is not available for
download. To find whether it is available, there are three
options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page
whether it is in fact available.
3. Perform a search for a similarly titled item that would be
available.
Volume (Year): VII (2008) Issue (Month): 5 (September) Pages: 7-14 Download reference. The following formats are available: HTML
(with abstract),
plain text
(with abstract),
BibTeX,
RIS (EndNote, RefMan, ProCite),
ReDIF
Handle: RePEc:icf:icfjae:v:07:y:2008:i:5:p:7-14
Contact details of provider:
For technical questions regarding this item, or to correct its listing, contact: (Prof. Venkata Seshaih).